Unique strong solutions of Lévy processes driven stochastic differential equations with discontinuous coefficients

DOI10.1080/17442508.2019.1567729MaRDI QIDQ5086436zbMATH OpenOpenAlexFDO

Authors Jiayu Zheng, Jie Xiong, Xiaowen Zhou

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.05875

zbMATH Keywords

stochastic differential equationlocal timepathwise uniquenesstime changeweak uniquenessLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We establish the existence and uniqueness for a one-dimensional stochastic differential equation driven by a Brownian motion and a pure jump {levy} process. It is shown that under fairly general conditions on the coefficients, pathwise uniqueness holds based on the methods of weak uniqueness and local time technique.

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Cited in

(16)

• Pathwise uniqueness for stochastic differential equations driven by pure jump processes
• Stochastic evolution equations driven by Lévy processes
• On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
• Strong Feller property for one-dimensional Lévy processes driven stochastic differential equations with Hölder continuous coefficients
• Pathwise uniqueness of stochastic differential equations driven by Brownian motions and finite variation Lévy processes
• Strong solutions for stochastic differential equations with jumps
• Some explicit results on first exit times for a jump diffusion process involving semimartingale local time
• Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes
• Strong solution of stochastic differential equations with discontinuous and unbounded coefficients
• Remark on pathwise uniqueness of stochastic differential equations driven by Lévy processes
• Solutions of Lévy-driven SDEs with unbounded coefficients as Feller processes
• Davie's type uniqueness for a class of SDEs with jumps
• Strong solutions to stochastic equations with a Lévy noise and a non-constant diffusion coefficient
• Strong solutions to stochastic equations with Lévy noise and a discontinuous drift coefficient
• Existence of solution for stochastic differential equations driven by \(G\)-Lévy process with discontinuous coefficients
• On strong existence and continuous dependence for solutions of one-dimensional stochastic equations with additive Lévy noise

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